Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2108
Annualized Std Dev 0.4290
Annualized Sharpe (Rf=0%) -0.4915

Row

Daily Return Statistics

Close
Observations 3315.0000
NAs 1.0000
Minimum -0.2969
Quartile 1 -0.0137
Median -0.0013
Arithmetic Mean -0.0006
Geometric Mean -0.0009
Quartile 3 0.0118
Maximum 0.2178
SE Mean 0.0005
LCL Mean (0.95) -0.0015
UCL Mean (0.95) 0.0003
Variance 0.0007
Stdev 0.0270
Skewness -0.1256
Kurtosis 12.2153

Downside Risk

Close
Semi Deviation 0.0188
Gain Deviation 0.0207
Loss Deviation 0.0195
Downside Deviation (MAR=210%) 0.0237
Downside Deviation (Rf=0%) 0.0191
Downside Deviation (0%) 0.0191
Maximum Drawdown 0.9811
Historical VaR (95%) -0.0371
Historical ES (95%) -0.0614
Modified VaR (95%) -0.0393
Modified ES (95%) -0.0476
From Trough To Depth Length To Trough Recovery
2008-10-13 2021-02-16 NA -0.9811 3084 3060 NA
2008-03-18 2008-06-05 2008-08-04 -0.2783 97 56 41
2008-09-18 2008-09-19 2008-10-03 -0.1881 12 2 10
2007-11-20 2007-12-06 2007-12-17 -0.1494 19 12 7
2008-02-11 2008-02-26 2008-03-17 -0.1406 25 11 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA 0.1 0 0.1
2008 -1.1 2.8 -4.9 -2 -2.9 -0.4 2.9 -1.8 1.7 -2 12.1 -2.3 0.9
2009 5.5 -1.7 -5.1 -2.6 -3.3 -1.4 -1.8 3.3 4.1 1.8 -7.2 1.2 -7.8
2010 -2 -2.5 -2.9 0.7 0.7 -0.4 1.2 -4.9 -0.3 2.7 -4.8 -1 -13.1
2011 -3.8 0.2 0 -0.5 2.8 -1.9 1.6 2 4.9 2.5 1.8 -2.4 6.9
2012 -1.4 -1 -0.5 1.8 5.3 -3.3 -0.2 0.5 0.2 -1.8 0.7 -1.7 -1.7
2013 0.7 -1.5 7.3 1.8 4.1 -2.4 -5.7 4.2 1 2.6 -0.2 -0.1 11.7
2014 4.7 -0.6 -1.2 -2.7 -0.3 -2 0.1 0.3 3.2 -10.5 -1 1 -9.4
2015 3.1 0.6 0.7 -1.7 -1.2 -1.4 -1.7 8.5 -1.1 0.9 -3 2.7 5.8
2016 1.1 -4.7 5.1 1.9 0.2 -0.4 -0.7 -1.6 0.5 1.3 1.9 -0.2 4.2
2017 -2.2 -2.4 2.9 -0.7 -1.5 -0.7 -0.4 -0.1 -0.4 -0.9 1.7 -0.1 -4.7
2018 -1 5.9 -2.8 -0.2 1.1 0.1 -0.8 -0.6 -1.8 1.7 0.1 0.2 1.7
2019 1.2 -0.4 -2.7 1.4 2.1 -2.8 0.2 -0.9 0.3 -2.3 1.9 -0.6 -2.7
2020 3.2 0.7 9.7 3.2 -2.8 0.4 5.3 -0.5 0 1.4 -3.9 -0.7 16.6
2021 -1.9 -3.1 -1.1 NA NA NA NA NA NA NA NA NA -5.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart